Sebastian Kripfganz

Lecturer (assistant professor) in Economics,
University of Exeter Business School, Department of Economics
 
© Sebastian Kripfganz
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Stata Programs
Description
xtdpdgmm: Generalized method of moments estimation of linear dynamic panel data models
xtdpdgmm implements generalized method of moments estimators for linear dynamic panel models. Linear moment conditions can be combined with the nonlinear moment conditions suggested by Ahn and Schmidt (1995). The latter yield efficiency gains and more robust results for highly persistent data. The Windmeijer (2005) finite-sample standard error correction is implemented for estimators with and without nonlinear moment conditions. Available postestimation statistics include the Arellano-Bond test for autocorrelation of the residuals and Hansen's J-test for the validity of the overidentifying restrictions.
Installation & Help
To install a fresh version of this package, type the following in Stata's command window:
net install xtdpdgmm, from(http://www.kripfganz.de/stata/)
To display the currently installed version of this package, type the following in Stata's command window:
which xtdpdgmm
To update an existing version of this package, type the following in Stata's command window:
adoupdate xtdpdgmm, update
To access the help files of this package after the installation, type the following in Stata's command window:
help xtdpdgmm
help xtdpdgmm postestimation
Author
Sebastian Kripfganz
University of Exeter
Latest Version
version 1.0.0 31may2017
Questions & Answers
Discussion at Statalist

www.kripfganz.de